Adrian had some great things to say on the convergence of all entertainment toward an immersive model. I do agree that this is the way things are going. It's not even brand-new to the mainstream, except perhaps in scale. The Simpsons got into this game a couple of years ago, with in-show references to a website or an interactive email address. This kind of thing has since become almost old-hat -- well, with the reference to extant websites, anyway. Interactive email with a character is something that may not be scalable to audiences of millions, and that may be why we haven't seen more of it.
I'd say, though, that the most profound and common kind of interactivity is the accretion of communities around the stories they enjoy. Not all of this accretion involves adding depth to the story itself -- most of it may not. Take Battlestar Galactica, for example. It's not enough for the fans to watch the show and maybe talk about it around the company water cooler. No, there are the official blogs to read, podcasts for each episode, and vibrant forums analyzing each tidbit in a myriad of ways. While all of these elements don't significantly expand the story world, they do allow the individual viewer to feel more connected to the show, and more connected to other viewers -- and that's exactly why entertainment is heading in this direction. A viewer who feels he or she has a personal connection to the production team and to a larger community is a viewer who isn't going to channel-flip.
I think these phenomenon are not vividly distinct, though. Once a viewer is accustomed to checking in to see what the gang has to say about the last show, it's a small step to reading the letter a character was brandishing in a particularly tense scene, or accessing a character's video diary, or visiting the website of UberMegaCorp. All of these things are happening side by side.
Now, while complementray elements have largely been the domain of sci-fi and fantasy programming to date, my prediction is that it's going to start branching out dramatically over the next few years. Already, a TV show is expected to have at least a website. As digital life and physical life are more integrated, there will come a time when the odd duck will be the flat show without electronic treasure hidden to expand and complement the story.